backwardflatlinearinterpolation.hpp

Go to the documentation of this file.

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2014 Peter Caspers
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file backwardflatlinearinterpolation.hpp
    \brief backflat interpolation in first component, linear in second component
*/
 
#ifndef quantlib_backwardflatlinear_interpolation_hpp
#define quantlib_backwardflatlinear_interpolation_hpp
 
#include <ql/math/interpolations/interpolation2d.hpp>
 
namespace QuantLib {
 
    namespace detail {
 
        template <class I1, class I2, class M>
        class BackwardflatLinearInterpolationImpl
            : public Interpolation2D::templateImpl<I1,I2,M> {
          public:
            BackwardflatLinearInterpolationImpl(const I1& xBegin, const I1& xEnd,
                                      const I2& yBegin, const I2& yEnd,
                                      const M& zData)
            : Interpolation2D::templateImpl<I1,I2,M>(xBegin,xEnd,
                                                     yBegin,yEnd,
                                                     zData) {
                calculate();
            }
            void calculate() override {}
            Real value(Real x, Real y) const override {
                Size j = this->locateY(y);
                Real z1,z2;
                if(x <= this->xBegin_[0]) {
                    z1 = this->zData_[j][0];
                    z2 = this->zData_[j+1][0];
                }
                else {
                    Size i = this->locateX(x);
                    if(x == this->xBegin_[i]) {
                        z1 = this->zData_[j][i];
                        z2 = this->zData_[j+1][i];
                    }
                    else {
                        z1 = this->zData_[j][i+1];
                        z2 = this->zData_[j+1][i+1];
                    }
                }
 
                Real u=(y-this->yBegin_[j])/
                    (this->yBegin_[j+1]-this->yBegin_[j]);
 
                return (1.0-u)*z1 + u*z2;
            }
        };
 
    }
 
    /*! \warning See the Interpolation class for information about the
                 required lifetime of the underlying data.
    */
    class BackwardflatLinearInterpolation : public Interpolation2D {
      public:
        /*! \pre the \f$ x \f$ and \f$ y \f$ values must be sorted. */
        template <class I1, class I2, class M>
        BackwardflatLinearInterpolation(const I1& xBegin, const I1& xEnd,
                              const I2& yBegin, const I2& yEnd,
                              const M& zData) {
            impl_ = ext::shared_ptr<Interpolation2D::Impl>(
                  new detail::BackwardflatLinearInterpolationImpl<I1,I2,M>(xBegin, xEnd,
                                                                 yBegin, yEnd,
                                                                 zData));
        }
    };
 
    class BackwardflatLinear {
      public:
        template <class I1, class I2, class M>
        Interpolation2D interpolate(const I1& xBegin, const I1& xEnd,
                                    const I2& yBegin, const I2& yEnd,
                                    const M& z) const {
            return BackwardflatLinearInterpolation(xBegin,xEnd,yBegin,yEnd,z);
        }
    };
 
}
 
 
#endif